You can put the .jar file into your classpath. If you use a fancy IDE like eclipse or netbeans which allows you to 'link' a jar file to a source zip so you can quickly refer to source code, the -src.zip file listed below has the proper structure for it.
An explanation of MOX and a tutorial can be found here.
Happy XML reading and writing!
--Reinier Zwitserloot
(See the java boilerplate blog to join the discussion on new features to reduce boilerplate code in java 1.6. This MOX stuff has been developed in light of it).
Downloads:
latest mox.jar
latest mox-src.zip